Copy model + armature to other file?
Your problem probably stems from trying to copy the armature in pose mode. Switch it to object mode and select both - armature and mesh. Copy it and paste to another file.
Second way is to append the cowboy from its file to the file on which you working by going to File>Append (or SHIFT+F1)finding the file, opening it, then folder Objects and choosing cowboy object. It will bring the cowboy object along with it's parent (in this example armature).